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Dong-Xue Wang

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Open access Sep 2026

Multifractal-State-Augmented Machine Learning for One-Trading-Day-Ahead USD/KRW Absolute-Return Forecasting

Daily exchange-rate returns show weak average persistence, yet their multiscale organization may inform future movement magnitude. This study evaluates whether time-varying multifractal states improve one-trading-day-ahead forecasts of USD/KRW absolute returns. The raw dataset contains 6520 Federal Reserve H.10 observa...

Dong-Xue Wang, Yu-Gang He · 0 citations

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